The extremogram: a correlogram for extreme events
From MaRDI portal
Publication:605880
DOI10.3150/09-BEJ213zbMath1200.62104arXiv1001.1821MaRDI QIDQ605880
Thomas Mikosch, Richard A. Davis
Publication date: 15 November 2010
Published in: Bernoulli (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1001.1821
GARCH; stationary sequence; multivariate regular variation; tail dependence coefficient; stochastic volatility process
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62P05: Applications of statistics to actuarial sciences and financial mathematics
62M15: Inference from stochastic processes and spectral analysis
62G32: Statistics of extreme values; tail inference
62F05: Asymptotic properties of parametric tests
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